| Metric | EQW | ^DJI | SPY | MV (150d) | BL (150d) |
|---|---|---|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% | 100.0% | 92.0% | 98.0% |
| Cumulative Return | 348.15% | 320.26% | 539.04% | 524.91% | 444.66% |
| CAGR﹪ | 6.16% | 5.89% | 7.67% | 7.58% | 6.99% |
| Sharpe | 0.39 | 0.4 | 0.48 | 0.49 | 0.44 |
| Prob. Sharpe Ratio | 97.48% | 97.76% | 99.14% | 99.28% | 98.64% |
| Smart Sharpe | 0.37 | 0.38 | 0.45 | 0.46 | 0.42 |
| Sortino | 0.55 | 0.57 | 0.67 | 0.69 | 0.62 |
| Smart Sortino | 0.51 | 0.53 | 0.63 | 0.64 | 0.58 |
| Sortino/√2 | 0.39 | 0.4 | 0.48 | 0.49 | 0.44 |
| Smart Sortino/√2 | 0.36 | 0.38 | 0.45 | 0.46 | 0.41 |
| Omega | 1.08 | 1.08 | 1.09 | 1.1 | 1.09 |
| Max Drawdown | -62.16% | -53.78% | -55.19% | -45.44% | -60.05% |
| Max DD Date | 2009-03-09 | 2009-03-09 | 2009-03-09 | 2002-12-30 | 2009-03-09 |
| Max DD Period Start | 2007-11-01 | 2007-10-10 | 2007-10-10 | 2000-09-05 | 2007-11-01 |
| Max DD Period End | 2013-10-17 | 2013-03-04 | 2012-08-15 | 2004-10-07 | 2013-09-17 |
| Longest DD Days | 2178 | 2450 | 2404 | 2253 | 2148 |
| Volatility (ann.) | 20.73% | 18.55% | 19.53% | 18.24% | 19.58% |
| Calmar | 0.1 | 0.11 | 0.14 | 0.17 | 0.12 |
| Skew | -0.29 | -0.11 | -0.01 | -0.34 | -0.3 |
| Kurtosis | 11.27 | 12.25 | 11.16 | 5.88 | 12.92 |
| Expected Daily | 0.02% | 0.02% | 0.03% | 0.03% | 0.03% |
| Expected Monthly | 0.5% | 0.48% | 0.62% | 0.61% | 0.56% |
| Expected Yearly | 5.94% | 5.68% | 7.39% | 7.3% | 6.74% |
| Kelly Criterion | - | - | - | - | - |
| Risk of Ruin | - | - | - | - | - |
| Daily Value-at-Risk | -2.12% | -1.89% | -1.99% | -1.85% | -1.99% |
| Expected Shortfall (cVaR) | -3.58% | -3.58% | -3.58% | -3.58% | -3.58% |
| Max Consecutive Wins | - | - | - | - | - |
| Max Consecutive Losses | - | - | - | - | - |
| Gain/Pain Ratio | - | - | - | - | - |
| Gain/Pain (1M) | - | - | - | - | - |
| Payoff Ratio | - | - | - | - | - |
| Profit Factor | 1.08 | 1.08 | 1.09 | 1.1 | 1.09 |
| Common Sense Ratio | - | - | - | - | - |
| CPC Index | - | - | - | - | - |
| Tail Ratio | 0.94 | 0.96 | 0.92 | 1.0 | 0.94 |
| Outlier Win Ratio | 3.78 | 4.27 | 4.09 | 4.57 | 4.2 |
| Outlier Loss Ratio | 3.79 | 4.32 | 3.99 | 3.92 | 3.96 |
| MTD | 2.37% | 2.57% | 5.17% | 2.82% | 1.43% |
| 3M | 6.97% | 10.94% | 12.06% | 8.18% | 4.67% |
| 6M | 9.5% | 14.12% | 16.79% | 10.84% | 6.82% |
| YTD | 0.09% | 3.83% | 6.85% | 1.78% | -1.44% |
| 1Y | 8.61% | 18.42% | 29.36% | 9.08% | 5.86% |
| 3Y (ann.) | 1.78% | 6.31% | 10.76% | -1.16% | -0.1% |
| 5Y (ann.) | 6.14% | 9.1% | 14.72% | 8.81% | 5.66% |
| 10Y (ann.) | 4.57% | 9.29% | 12.72% | 5.3% | 4.33% |
| All-time (ann.) | 6.16% | 5.89% | 7.67% | 7.58% | 6.99% |
| Best Day | 14.28% | 11.37% | 14.52% | 9.95% | 14.04% |
| Worst Day | -11.79% | -12.93% | -10.94% | -8.63% | -11.82% |
| Best Month | 16.66% | 13.95% | 12.7% | 18.36% | 16.64% |
| Worst Month | -23.8% | -14.06% | -16.52% | -12.73% | -21.38% |
| Best Year | 48.56% | 26.5% | 32.31% | 51.81% | 58.43% |
| Worst Year | -44.7% | -33.84% | -36.8% | -35.17% | -41.51% |
| Avg. Drawdown | -3.02% | -2.3% | -2.05% | -3.3% | -2.5% |
| Avg. Drawdown Days | 54 | 46 | 32 | 57 | 48 |
| Recovery Factor | - | - | - | - | - |
| Ulcer Index | 0.18 | 0.14 | 0.17 | 0.18 | 0.15 |
| Serenity Index | 0.35 | 0.35 | 0.39 | 0.34 | 0.41 |
| Avg. Up Month | 4.18% | 3.33% | 3.68% | 4.14% | 4.05% |
| Avg. Down Month | -5.14% | -4.09% | -4.19% | -4.37% | -4.75% |
| Win Days | 53.3% | 53.12% | 54.29% | 53.62% | 53.88% |
| Win Month | 58.61% | 60.93% | 62.58% | 60.7% | 59.86% |
| Win Quarter | 63.37% | 65.35% | 70.3% | 62.24% | 64.65% |
| Win Year | 65.38% | 69.23% | 76.92% | 73.08% | 61.54% |
| Year | EQW | ^DJI | SPY | MV (150d) | BL (150d) |
|---|---|---|---|---|---|
| 1999 | 16.93 | 22.39 | 19.28 | 21.29 | 6.69 |
| 2000 | -7.54 | -4.22 | -7.41 | 10.78 | -5.44 |
| 2001 | -16.16 | -5.12 | -10.11 | -13.84 | -8.21 |
| 2002 | -9.94 | -15.11 | -20.83 | -35.43 | -5.32 |
| 2003 | 40.78 | 23.95 | 26.20 | 42.67 | 46.97 |
| 2004 | 25.60 | 3.69 | 10.78 | 35.54 | 25.31 |
| 2005 | 12.62 | -0.08 | 5.25 | 14.86 | 14.02 |
| 2006 | 29.23 | 15.58 | 15.21 | 31.96 | 29.52 |
| 2007 | 15.49 | 7.29 | 6.28 | 21.85 | 19.41 |
| 2008 | -48.95 | -34.13 | -37.36 | -39.97 | -43.93 |
| 2009 | 41.61 | 20.17 | 26.93 | 37.18 | 44.19 |
| 2010 | 12.86 | 11.76 | 15.63 | 15.32 | 11.29 |
| 2011 | -11.18 | 7.59 | 4.53 | -16.63 | -12.66 |
| 2012 | 21.58 | 7.69 | 15.64 | 15.13 | 18.63 |
| 2013 | 19.55 | 24.03 | 28.62 | 14.29 | 17.68 |
| 2014 | -4.95 | 7.84 | 13.27 | 2.48 | -0.39 |
| 2015 | -0.29 | -1.07 | 2.41 | -6.94 | -2.14 |
| 2016 | 5.44 | 13.38 | 12.18 | 16.95 | 3.94 |
| 2017 | 24.15 | 22.61 | 19.88 | 23.07 | 25.75 |
| 2018 | -12.32 | -4.20 | -3.23 | -24.19 | -13.74 |
| 2019 | 20.38 | 20.94 | 27.97 | 20.04 | 19.02 |
| 2020 | 14.37 | 13.82 | 22.47 | 34.52 | 17.69 |
| 2021 | 13.35 | 17.94 | 26.11 | 15.48 | 12.81 |
| 2022 | -12.96 | -7.24 | -17.13 | -23.45 | -14.94 |
| 2023 | 14.26 | 13.49 | 24.11 | 10.33 | 12.96 |
| 2024 | 0.20 | 3.81 | 6.73 | 1.85 | -1.34 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-01 | 2013-10-17 | -62.16 | 2178 |
| 2000-01-04 | 2004-01-02 | -42.42 | 1460 |
| 2020-01-21 | 2020-11-13 | -36.40 | 298 |
| 2021-11-09 | 2024-02-23 | -30.17 | 837 |
| 2014-07-07 | 2017-05-01 | -24.39 | 1030 |
| 2018-01-29 | 2019-12-31 | -21.06 | 702 |
| 2006-05-10 | 2006-10-13 | -15.78 | 157 |
| 2007-07-13 | 2007-09-28 | -13.07 | 78 |
| 1999-01-07 | 1999-04-26 | -11.73 | 110 |
| 2004-02-18 | 2004-09-20 | -11.43 | 216 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-10 | 2013-03-04 | -53.78 | 1973 |
| 2000-01-18 | 2006-10-02 | -37.85 | 2450 |
| 2020-02-13 | 2020-11-13 | -37.09 | 275 |
| 2022-01-05 | 2023-12-12 | -21.94 | 707 |
| 2018-10-04 | 2019-07-02 | -18.77 | 272 |
| 2015-05-20 | 2016-07-11 | -14.48 | 419 |
| 2018-01-29 | 2018-09-19 | -11.58 | 234 |
| 1999-08-26 | 1999-12-22 | -11.53 | 119 |
| 2007-07-20 | 2007-09-28 | -8.25 | 71 |
| 2014-01-02 | 2014-04-29 | -7.26 | 118 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-10 | 2012-08-15 | -55.19 | 1772 |
| 2000-03-27 | 2006-10-25 | -47.52 | 2404 |
| 2020-02-20 | 2020-08-07 | -33.72 | 170 |
| 2022-01-04 | 2023-12-12 | -24.50 | 708 |
| 2018-09-21 | 2019-04-11 | -19.35 | 203 |
| 2015-07-21 | 2016-04-15 | -13.02 | 270 |
| 1999-07-19 | 1999-11-16 | -11.70 | 121 |
| 2018-01-29 | 2018-08-03 | -10.10 | 187 |
| 2020-09-03 | 2020-11-10 | -9.44 | 69 |
| 2000-01-20 | 2000-03-16 | -9.30 | 57 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2000-09-05 | 2004-10-07 | -45.44 | 1494 |
| 2007-11-07 | 2014-01-06 | -43.94 | 2253 |
| 2018-01-29 | 2020-07-17 | -37.06 | 901 |
| 2022-01-04 | 2024-02-23 | -28.41 | 781 |
| 2014-04-02 | 2016-07-06 | -23.48 | 827 |
| 2006-05-11 | 2006-09-26 | -15.67 | 139 |
| 2000-03-06 | 2000-08-16 | -14.77 | 164 |
| 2007-07-13 | 2007-09-25 | -14.56 | 75 |
| 2016-09-08 | 2017-05-12 | -13.84 | 247 |
| 2005-03-09 | 2005-07-27 | -11.04 | 141 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-01 | 2013-09-17 | -60.05 | 2148 |
| 2018-01-29 | 2020-11-12 | -38.75 | 1019 |
| 2000-01-04 | 2003-09-02 | -31.35 | 1338 |
| 2021-11-09 | 2024-02-23 | -30.36 | 837 |
| 2014-07-07 | 2017-04-24 | -23.46 | 1023 |
| 2006-05-10 | 2006-10-11 | -15.43 | 155 |
| 2004-02-18 | 2004-09-20 | -13.44 | 216 |
| 2007-07-13 | 2007-09-26 | -13.39 | 76 |
| 2007-02-27 | 2007-03-30 | -8.90 | 32 |
| 2014-01-14 | 2014-02-21 | -7.40 | 39 |